With libor at 4 a manager wants to increase the duration of

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With LIBOR at 4%, a manager wants to increase the duration of his portfolio. Which of the following securities should he acquire to increase the duration of his portfolio the most?

A. A 10-year reverse floater that pays 8%- LIBOR, payable annually

B. A 10-year reverse floater that pays 12% - 2×LIBOR, payable annually

C. A 10-year floater that pays LIBOR, payable annually

D. A 10-year fixed rate bond carrying a coupon of 4% payable annually

Reference no: EM13568900

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